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中国股市周内效应研究——来自时变贝塔、时变特雷诺比率和交易量的新结果
引用本文:吴武清,陈敏,梁斌.中国股市周内效应研究——来自时变贝塔、时变特雷诺比率和交易量的新结果[J].数理统计与管理,2008,27(1):133-147.
作者姓名:吴武清  陈敏  梁斌
作者单位:1. 中科院数学与系统科学研究院,北京,100080
2. 中国科学技术大学,安徽合肥,230026
摘    要:本文首次关注时变市场风险度量指标——时变贝塔和单位市场风险收益率度量指标——时变特雷诺比率的周内效应,重点对中国股市行业指数的收益率、时变贝塔、时变特雷诺比率和交易量进行了周效应和周内各交易日效应研究,并比较研究了个股时变贝塔的周内效应。研究发现行业指数的收益率、时变特雷诺比率、交易量有明显的周效应;收益率和时变特雷诺比率有明显的周二和周四效应,但周一和周五效应并不明显,比如行业收益率基本上没有周一效应;上证指数收益率有明显的周四效应;行业指数交易量的各周内交易日效应比较显著;但行业指数的时变贝塔周效应并不显著;此外,个股的时变贝塔表现出不同于行业指数的特点,其周内效应相对比较明显.

关 键 词:周内效应  时变贝塔  时变特雷诺比率  ARMA-GARCH
文章编号:1002-1566(2008)01-0133-15
收稿时间:2007-04-10
修稿时间:2007年4月10日

A Study on the Weekday Effect in China Stock Market-the new results from the time-varying betas,the time-varying Treynor ratios and volumes
WU Wu-qing,CHEN Min,LIANG Bin.A Study on the Weekday Effect in China Stock Market-the new results from the time-varying betas,the time-varying Treynor ratios and volumes[J].Application of Statistics and Management,2008,27(1):133-147.
Authors:WU Wu-qing  CHEN Min  LIANG Bin
Abstract:It is the first time that this paper introduces the time-varying betas and the time-varying Treynor ratios into the research of the weekday effects in China stock market.We examine the weekday effects of the returns,the time-varying betas,the time-varying Treynor ratios and the volumes of the sector indexes.We investigate the weekday effects of the time-varying betas of some stocks also.Several interesting findings were presented in this paper:First,except for the time-varying betas,the returns, the time-varying Treynor ratios and the volumes of the sector indexes all have the weekly effects.Second, the returns and the time-varying Treynor ratios of the sector indexes have the Tuesday effects,but do not have the Monday and Friday effects.Third,the returns of the SSE Composite Index have the Thursday effects.Moreover,different from the sector indexes,the time-varying betas of the stocks have more statistically significant weekday effects.
Keywords:Effect  Time-varying Betas  Time-varying Treynor Ratios  ARMA-GARCH  
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